Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 3 | 3 |
| Score | 3.01 | 1.13 | 1.8 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.59 | 0.59 | 0.58 |
| Idiosyncratic Volatility | 0.42 | 0.37 | 0.55 |
Annualized return and volatility
| GSELX | |
|---|---|
| Annualized Return | 0.0553 |
| Annualized Std Dev | 0.1877 |
| Annualized Sharpe (Rf=0%) | 0.2946 |
Row
Daily Return Statistics
| GSELX | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.0915 |
| Quartile 1 | -0.0046 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1188 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.0344 |
| Kurtosis | 8.7837 |
Downside Risk
| GSELX | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0092 |
| Downside Deviation (MAR=210%) | 0.0133 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.5630 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0284 |
| Modified VaR (95%) | -0.0172 |
| Modified ES (95%) | -0.0250 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2013-01-23 | -0.5630 | 1416 | 426 | 990 |
| 2000-09-05 | 2002-10-09 | 2006-01-11 | -0.4711 | 1369 | 534 | 835 |
| 2018-08-30 | 2018-12-24 | 2019-10-29 | -0.2145 | 298 | 82 | 216 |
| 2015-05-22 | 2016-02-11 | 2016-07-12 | -0.1627 | 291 | 186 | 105 |
| 2000-03-27 | 2000-04-14 | 2000-08-23 | -0.1109 | 107 | 16 | 91 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | GSELX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.2 | 0.7 | 0.0 | 1.3 | 2.2 | 0.0 | 0.4 | 0.2 | 0.0 | -0.7 | 0.0 | 0.0 | 5.5 |
| 2001 | 0.3 | 0.0 | 0.0 | 1.4 | 0.4 | 0.0 | 0.2 | 0.0 | -0.2 | 2.1 | 0.0 | 0.0 | 4.2 |
| 2002 | -0.6 | 2.1 | 0.0 | 1.0 | 0.0 | -2.3 | -3.0 | 0.0 | 3.8 | 1.5 | 0.0 | 0.0 | 2.3 |
| 2003 | 0.0 | 0.0 | 1.2 | 0.0 | 0.0 | 0.8 | -1.0 | 0.0 | 2.1 | 0.0 | 1.2 | 0.0 | 4.5 |
| 2004 | 0.0 | 1.2 | 0.4 | 0.0 | 0.2 | -0.8 | 0.0 | 0.2 | 2.3 | 0.0 | 1.5 | 0.0 | 5.0 |
| 2005 | 0.5 | 0.6 | -0.2 | 0.0 | 0.8 | 0.4 | 0.0 | 0.3 | 0.0 | 0.0 | 1.2 | 0.0 | 3.6 |
| 2006 | 0.2 | 1.1 | 0.0 | -0.4 | 1.2 | 0.0 | -0.5 | 0.6 | 0.0 | -0.6 | -0.1 | 0.0 | 1.5 |
| 2007 | 0.5 | -0.4 | 0.0 | 0.2 | 0.4 | 0.0 | 0.5 | 0.0 | 1.3 | -2.6 | 0.0 | 0.0 | -0.1 |
| 2008 | 1.0 | 0.0 | 3.4 | 1.4 | 0.0 | 0.6 | -0.9 | 0.0 | -0.6 | 0.0 | -8.8 | 0.0 | -4.4 |
| 2009 | 0.0 | 0.0 | 1.2 | 0.9 | 2.7 | 0.7 | 0.0 | -2.3 | -2.6 | 0.0 | 1.4 | 0.0 | 1.8 |
| 2010 | 1.6 | 1.1 | 0.6 | 0.0 | -1.8 | -0.3 | 0.0 | 3.0 | 0.5 | 0.2 | 2.2 | 0.0 | 7.3 |
| 2011 | 1.9 | -1.4 | 0.4 | 0.0 | -2.1 | 1.4 | -0.5 | -1.0 | 0.0 | -2.6 | -0.1 | 0.0 | -4.0 |
| 2012 | 1.1 | 0.7 | 0.0 | 0.6 | -2.5 | 0.0 | -0.4 | 0.0 | 0.4 | 1.1 | 0.0 | 0.0 | 1.0 |
| 2013 | 0.8 | 0.3 | -0.3 | -1.2 | 0.0 | 0.6 | 1.4 | 0.0 | 0.9 | 0.3 | 0.0 | 0.0 | 2.9 |
| 2014 | 0.0 | 0.0 | 0.9 | 0.1 | 0.0 | 0.8 | -0.3 | 0.0 | -1.4 | 0.0 | -0.7 | 0.0 | -0.6 |
| 2015 | 0.0 | 0.0 | -0.5 | 1.3 | 0.2 | 0.8 | 0.0 | -3.0 | 0.6 | 0.0 | 1.1 | 0.0 | 0.5 |
| 2016 | 0.3 | 2.5 | 0.7 | 0.0 | 0.1 | 0.3 | -0.2 | 0.0 | 0.0 | -0.6 | -0.3 | 0.0 | 2.8 |
| 2017 | 0.2 | 1.4 | 0.0 | 0.3 | 1.0 | 0.0 | 0.2 | 0.3 | 0.0 | 0.2 | -0.3 | 0.0 | 3.3 |
| 2018 | -0.1 | -1.0 | 0.0 | 0.4 | 1.2 | 0.0 | 0.1 | 0.0 | 0.3 | 1.2 | 0.0 | 0.0 | 2.0 |
| 2019 | -0.1 | 0.8 | 1.3 | -0.6 | 0.0 | 0.7 | -0.9 | 0.0 | -1.2 | 1.0 | 0.0 | 0.1 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
